Mahalanobis d² = (x−μ)ᵀΣ⁻¹(x−μ): covariance-respecting distance metric

Mahalanobis distance (Mahalanobis 1936): the quadratic-form distance between a point x and a distribution with mean μ and covariance Σ, generalising the standardised-Euclidean z-score to correlated variables. When Σ = σ²I it collapses to…